1 Introduction

This is a guide I use for my own investment approach – it comes from an individual investor´s perspective and experience. I put together a rulebook for strategic investing to serve as a guideline to create and evolve a written investment plan to manage my own money. It shows a way to integrate historically successful…

Working with different Market Regimes Part II

Based on a refined, trustworthy investment philosophy, I return to the practical implementation of our key question: How is successfully adapting an asset allocation to market conditions possible and can it yield higher risk- adjusted returns than a static portfolio?   I concentrate on the third basic building block of my investment philosophy – systematic downside protection through dynamic…

The Mythical Road to Financial Independence

Financial independence is an enticing concept, that spawned a popular movement with its own jungle of lifestyle possibilities, methods and acronyms. It is based on the perception that the traditional working life as an employee, often characterized by consumerism, ending with retirement at 65 (or thereabouts) is very suboptimal for many people. It also implies that happiness comes…

Is Trend Following a figment of the imagination?

Absolute momentum or time series momentum, as trends are called in academia, can be used to time virtually any price series (like asset prices, composite indices, equity curves, factors and so on) in such a simple manner, that to be able to gain an advantage over the market that way, seems a bit suspect. Not to mention,…

Volatility Strategies in Detail

Let´s put some meat on the bone and dig deeper into the details of the volatility strategies I use in my portfolio. These are the most active, short term strategies I use at the moment. They also use concepts that are more off the beaten path, which makes them more valuable, but also more difficult…

Common Sense Backtesting

When looking at new strategies, I try to judge the quality of an idea by looking at it from different angles. A combination of methods estimates a range of possible outcomes that strategy could have and defines its place in the portfolio – one could call it common sense backtesting.   Ideas first I always…

Alternative Beta trumps Alpha

In general my investing strategies aim to harvest well known and documented sources of return, that are driven by risk premia and advantages exploiting investor´s consistent behavioral inefficiencies – sources of return that could be called beta and alternative beta. These sources of return are as reliable as it gets, as they have a good reason…

Adaptive Global Asset Allocation Portfolio in Detail

It´s time to dig a bit deeper into the current asset allocation of my portfolio. You can read more here about my process of structuring the portfolio in general and how I think about adapting it to different market conditions.   Let´s start with the most important foundation of my portfolio: a global asset allocation…

What metrics really count when building a diversified portfolio

The three things I look at in detail whenever I think about adding a new strategy or asset to my portfolio are:   The expected risk-adjusted return: excess returns and volatility expressed most commonly by the Sharpe ratio The correlation between different strategies and assets The return distribution characteristics of the different elements of the…